Our Services

Get 15% Discount on your First Order

Refer to the docx Assignment-4 Fin 455 Spring 2024 Due: March 26,

March 27, 2024

Refer to the docx

Assignment-4

Fin 455

Spring 2024

Due: March 26, 2024

1. You are given the following information: (use continuous compounding).

Current stock price	$100
Strike price	$100
Annual Volatility (σ)	25%
Annual Risk-Free rate	5%
Time to maturity	3 months (0.25 years)
Time step (Δt)	1 month (1/12 years)
Up parameter (U)
Down parameter (D)	1/U

Compute the current value of a European call option.

2. A look back option is a call option that allows the holder to buy the stock at the minimum stock price that occurred over the period to expiration. Suppose, S0 = $129, U = 1.5, D = 0.5, and R = 1.1, use a 3-period binomial model and find the price of such a contract?

3. You are provided with the following information:

S0 = $129,
X = $80,
U = 1.5,
D = 0.5, and
R = 1.1

a) Compute the value of a call option using the two-period binomial model.

b) What are the hedge portfolios at
t = 1 that help price the call option at that time?

c) Suppose the model price were correct, and the call option were priced in the market at $55. Show how one can make arbitrage profits.

4. Price a call option using the one-period binomial model assuming the following data:

S0 = 129, K=80, U=1.5, D=0.5 and R=1.1. What does the replicating portfolio consist of?

5. Use the data from problem 5, compute the put price and validate the put-call parity.

image1.wmf

>Business & Finance homework help

Share This Post

Order a Similar Paper and get 15% Discount on your First Order

Related Questions

You must answer one question from Part I and one question from Part II. Everyone must answer Part III. Write in full sentences. Do not respond with an outline,

You must answer one question from Part I and one question from Part II. Everyone must answer Part III. Write in full sentences. Do not respond with an outline, single words or sentence fragments. Plea

The assignments in this course are a series of papers based on the same case, which is on XanEdu page under the Course Information module.  The assignments

The assignments in this course are a series of papers based on the same case, which is on XanEdu page under the Course Information module.  The assignments depend on one another. In this assignment, y

Objectives: Demonstrate understanding of basic management functions and decision making as it relates to your business idea. Apply Chapter 6 readings to

Objectives: Demonstrate understanding of basic management functions and decision making as it relates to your business idea. Apply Chapter 6 readings to conduct a SWOT analysis of your business ide

Describe a quality improvement initiative in your current or recent practice setting. What was the nurse’s role in the project? What was the outcome of

Describe a quality improvement initiative in your current or recent practice setting. What was the nurse’s role in the project? What was the outcome of the project? Has the improvement been sustained?

Business leaders are responsible for managing many things. The success of the business depends on being as effective and efficient as possible with

Business leaders are responsible for managing many things. The success of the business depends on being as effective and efficient as possible with the resources they use. An important resource to manage is the company financials. Business owners, executives, employees, and even shareholders and potential shareholders need to understand

PRELIMINARY JURY INSTRUCTIONS Duty of Jury It is your duty to find what the facts are. You alone are the judges of the facts. You must apply to

PRELIMINARY JURY INSTRUCTIONS Duty of Jury It is your duty to find what the facts are. You alone are the judges of the facts. You must apply to those facts the law as the judge explains it to you. You must follow that law whether you agree with it or

Consumer Decision Buying Process vs. Organizational Buying Process Directions: Complete the Consumer Decision Buying

Consumer Decision Buying Process vs. Organizational Buying Process Directions: Complete the Consumer Decision Buying Process chart by identifying a product you have recently purchased and discussing the five steps in the consumer decision buying process and your own experience during each step. For example, what you did, how much time

my name is Esteban tankou below are instructions for assignment: For this workshop, you should first read the “Introductions for Academic Essays” handout from

my name is Esteban tankou below are instructions for assignment: For this workshop, you should first read the “Introductions for Academic Essays” handout from the Miami University (OH) Howe Center f

Module 8 Sustainability in a Global Economy Case Study: Sustainable Development Goals: Global Social Impact Report For your case study, you will develop a

Module 8 Sustainability in a Global Economy Case Study: Sustainable Development Goals: Global Social Impact Report For your case study, you will develop a Global Social Impact Report. You will analyze the sustainability initiatives linked to the Sustainable Development Goals (SDGs) outlined by the United Nations and specifically applied to the airline

Write a 15 to 20-sentence report for the concert, focusing on the instrument, era, genre, artists, composers, and personal reflections. Classic

Write a 15 to 20-sentence report for the concert, focusing on the instrument, era, genre, artists, composers, and personal reflections. Classic Rock: Concert Details: – Instrument: Identify the primary instrument(s) featured in the concert. – Era: Determine the historical era or period the music represents. – Genre:

3 ETH501 SLP 4 ETH501 SLP 4 Your Name Trident University International ETH501 Business Ethics Due Date

3 ETH501 SLP 4 ETH501 SLP 4 Your Name Trident University International ETH501 Business Ethics Due Date Presentation: Ethical Considerations You have selected to deliver a video presentation to your organization or a professional group in your discipline. You may use visuals to deliver the message. Use ChatGPT or another

ANSER EACH QUESTION WITH AT LEAST 250 WORDS, 2 CITATIONS AND 2 REFRENCES 1.There are a variety of organizational types each with merit in certain

ANSER EACH QUESTION WITH AT LEAST 250 WORDS, 2 CITATIONS AND 2 REFRENCES 1.There are a variety of organizational types each with merit in certain situations. In what instances, if any, are mechanistic structures preferable to organic structures? Explain. Are both hierarchical and adaptive structures effective organization structures for particular

75 y.o. patient diagnosed with heart failure is seen in cardiac office for worsening of shortness of breath. He has difficulty completing sentences

75 y.o. patient diagnosed with heart failure is seen in cardiac office for worsening of shortness of breath. He has difficulty completing sentences and has productive cough. He has increased difficulty in self-care. On assessment noted bilateral crackles, +3 pedal edema, jugular vein distention. He states he takes his medications

Your assignment this week is to continue to think about your social entrepreneurship final project and share your idea(s) with your peers. Please post a

Your assignment this week is to continue to think about your social entrepreneurship final project and share your idea(s) with your peers. Please post a brief 1-2 paragraph description of your final project idea below

Part 4.1 Adolescent Development You read chapters about middle childhood through early adolescence. Consider that there are many challenges for this

Part 4.1 Adolescent Development You read chapters about middle childhood through early adolescence. Consider that there are many challenges for this age group: peer relationships, puberty, sexual identity, multicultural development, media/social media and anxiety to name a few. Reflect on your own experiences growing up when thinking about this assignment.

Business Finance – Management for proven ster 2 written assignment

Patient 4: 8-year-old Asian female with a diagnosis of severe depressive disorder presents to the office with a report of worsening symptoms. She has never

Patient 4: 8-year-old Asian female with a diagnosis of severe depressive disorder presents to the office with a report of worsening symptoms. She has never taken psychotropic medication before. Medica

Our Services

Refer to the docx Assignment-4 Fin 455 Spring 2024 Due: March 26,

image1.wmf

Share This Post

Related Questions

Use Our 6 Free Tools